Report NEP-ETS-2024-09-30

This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Jaqueson K. Galimberti issued this report. It is usually issued weekly.

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Other reports in NEP-ETS

The following items were announced in this report:

• Harvey, David I & Leybourne, Stephen J & Taylor, AM Robert & Zu, Yang, 2024. "A New Heteroskedasticity-Robust Test for Explosive Bubbles," Essex Finance Centre Working Papers 39178, University of Essex, Essex Business School.
• Daniel Cunha Oliveira & Yutong Lu & Xi Lin & Mihai Cucuringu & Andre Fujita, 2024. "Causality-Inspired Models for Financial Time Series Forecasting," Papers 2408.09960, arXiv.org.
• Anne Opschoor & Dewi Peerlings & Luca Rossini & Andre Lucas, 2024. "Density Forecasting for Electricity Prices under Tail Heterogeneity with the t-Riesz Distribution," Tinbergen Institute Discussion Papers 24-049/III, Tinbergen Institute.
• Ilze Kalnina & Kokouvi Tewou, 2024. "Cross-sectional Dependence in Idiosyncratic Volatility," Papers 2408.13437, arXiv.org.
• Yan-Feng Wu & Xiangyu Yang & Jian-Qiang Hu, 2024. "Method of Moments Estimation for Affine Stochastic Volatility Models," Papers 2408.09185, arXiv.org.
• Toru Yano, 2024. "State Space Model of Realized Volatility under the Existence of Dependent Market Microstructure Noise," Papers 2408.17187, arXiv.org.
• Igor Custodio João, 2024. "Testing for Clustering Under Switching," Tinbergen Institute Discussion Papers 24-052/III, Tinbergen Institute.
• Ramon de Punder & Timo Dimitriadis & Rutger-Jan Lange, 2024. "Kullback-Leibler-based characterizations of score-driven updates," Tinbergen Institute Discussion Papers 24-051/III, Tinbergen Institute, revised 22 Oct 2024.